Abstract
This paper discusses the use of fuzzy logic and modeling as a decision support for long-term investment decisions in the financial markets. A simple model is proposed to calculate recommendations for investors. This research required thorough analysis of historical data that lead to the discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX volatility index. The fuzzy model uses several input variables that are used to simplify the complex conditions in the financial markets. The purpose of the model is to evaluate the current market situation, compare the current situation to similar situations in the past and to provide investment recommendations for long-term future investing.
Access provided by Autonomous University of Puebla. Download to read the full chapter text
Chapter PDF
Similar content being viewed by others
Keywords
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
References
Abel, H.: Digital Day Trading, Dearborn, USA, 269p. (1999) ISBN 0-7931-3113-8
Aliev, A., Aliev, R.: Soft Computing and Its Applications, 444 p. World Scientific Pub. Ltd., UK (2002) ISBN 981-02-4700-1
Altrock, C.: Fuzzy Logic & Neurofuzzy – Applications in Business & Finance, 375 p. Prentice Hall, USA (1996) ISBN 0-13-591512-0
Armstrong, S.J.: Principles of Forecasting, 849s p. Kluwer Academic Publishers, USA (2001) ISBN 0-7923-7930-6
Baird, B., Burney, C.: Electronic Day Trading to Win, 220 p. John Wiley & Sons Inc., USA (1999) ISBN 0-471-35072-9
Bernice, C.: The Edge of Chaos - Financial Booms, Bubbles, Crashes and Chaos, 379 p. John Wiley & Sons Ltd., UK (1997) ISBN 0-471-96907-9
Dostál, P., Sojka, Z.: Financial Risk Management. In: Zlín 2005, Skripta, 60 p. (2005) ISBN 80-7318-343-9
DostÁL, P.: Prediction of Competitive Environment in Business. In: 28th International Symposium on Forecasting, Nice, France, p. 171, 6p., ISSN 1997-4116, ISSN 1997-4124
DostÁL, P., Rais, K.: Stock Market Decision Machine. In: 29th International Symposium on Forecasting, Hong-Kong, China, p. 171, 5 p. (2009) ISSN 1997-4116
Dostál, P., Budík, J.: System for Intelligent Investment Portfolio Making. In: 30th International Symposium on Forecasting, San Diego, USA, 6 p. (2010) ISSN 1997-4116
Dostál, P.: Advanced Decision Making in Business and Public Services, 168 p. CERM, Brno (2011) ISBN 978-80-7204-747-5
Dostál, P., Brož, Z.: Fuzzy Logic Investment Support on the Financial Market. In: 31th International Symposium on Forecasting, Praha, CZ, 6 p. (2011) ISSN 1997-4116
Ehlers, F.J.: Cybernetic Analysis for Stock and Futures, 256 p. John Wiley & Sons Inc, USA (2004) ISBN 0-471-46307-8
Franses, P.H.: Time Series Models for Business and Economic Forecasting, Cambridge, 213 p. University Press, UK (2001) ISBN 0-521-58641-0
Frost, A.J., Pretcher, R.: Elliott Wave Principle, 245 p. New Classic Library, USA (2000) ISBN 0-932750-43-5
Gleick, J.: Chaos, 330 p. Ando Publishing (1996) ISBN 80-86047-04-0
Gozzhelf, P.: Techno Fundamental Trading, 267 p. Probus Publishing Company, USA (1995) ISBN 1-55738-541-6
Hand, D., Mannila, H.: Principles of Data Mining, 546 p. The MIT Press, USA (2001) ISBN 0-262-08290-X
Herbst, F.: Analyzing and Forecasting Futures Prices, 238 p. John Wiley & Sons Inc., USA (1992) ISBN 0-471-53312-2
Howard, A.: Digital Day Trading, Dearborn, USA, 269 p. (1999) ISBN 0-7931-3113-8
Chen, S., Wang, P., Wen, T.: Computational Intelligence in Economic and Finance. Springer (2004) ISBN 978-3-540-72820-7
Chen, S., Wang, P., Wen, T.: Computational Intelligence in Economic and Finance, vol. II. Springer (2007) ISBN 978-3-540-72820-7
Klir, G.J., Yuan, B.: Fuzzy Sets and Fuzzy Logic, Theory and Applications, 279 p. Prentice Hall, New Jersy (1995) ISBN 0-13-101171-5
Peters, E.E.: Fractal Market Analysis – Applying Chaos Theory to Investment & Economic, 315 p. John Wiley & Sons Inc, USA (1994) ISBN 0-471-58524-6
Peters, E.E.: Chaos and Order in the Capital Markets: A New View of Cycles, Prices, Wiley Finance Edition, USA, 274 p. (1996) ISBN 0-471-13838-6
Trippi, R.R.: Chaos & Nonlinear Dynamic in the Financial Markets, 505p. Irwin Professional Publishing, USA (1995) ISBN 1-55738-857-1
Ribeiro, R., Yager, R.: Soft Computing in Financial Engineering, 590 p. A Springer Verlag Company (1999) ISBN 3-7908-1173-4
THE MATHWORKS. MATLAB – User’s Guide, The MathWorks, Inc. (2010)
Weigend, A.: Time Series Prediction: Forecasting the Future and Understanding the Past, 643 p. Addison-Wesley, Massachusetts (1993) ISBN 0-201-62602-0
Williams, L.V.: Information Efficiency in Financial and Betting Markets, 353 p. Cambridge University Press (2005) ISBN 0–521-81603-3
Wisniewski, M.: Quantitative Methods for Decision Makers, 4th edn., 592 p. Pearson Education Limited, England (2006) ISBN 0 27368 789 1
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2013 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Brož, Z., Dostál, P. (2013). Fuzzy Logic Decision Support for Long-Term Investing in the Financial Markets. In: Zelinka, I., Rössler, O., Snášel, V., Abraham, A., Corchado, E. (eds) Nostradamus: Modern Methods of Prediction, Modeling and Analysis of Nonlinear Systems. Advances in Intelligent Systems and Computing, vol 192. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33227-2_14
Download citation
DOI: https://doi.org/10.1007/978-3-642-33227-2_14
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-33226-5
Online ISBN: 978-3-642-33227-2
eBook Packages: EngineeringEngineering (R0)